Sorry... but what are you trying to do? You mentioned that you only want to connect on demand, won't that mean you actually on/off the data as you want? Apps like email, market, facebook will use data when they sync, poll the servers, updates, downloads etc. It does not off the data and on data line automatically.
You can of course use apps like Juice Defender. It is an app that have the option of switching off the data when it detects no active use and on it back when you go online or use an app that requires data. That said, I found that the app sometimes have problem switching on the data line back. Its why I stick with manually using the data toggle.
Cheers